EBA · 2024_7171 Rejected question

COREP C32_01 Fair Value changes of hedged items can be negative

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
430
Topic
Supervisory reporting - COREP (incl. IP Losses)
Submitted by
Credit institution
Submitted
2024-08-14
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Question

Guidance for Row 120  of template C32.01 of EBA Framework Annex II Reporting on own funds and own fund requirements states that for Fair value changes of the hedged items in portfolio hedge of interest rate risk the amount of row 250 of template F01.01 should be inserted. However this row can contain a negative value and can be related to positions not in the trading book. In this case, when we comply with the instructions, submitting C32.01 is not possible since we get an error message that for row 0120 column 0090 is not smaller than row 0080. This is due to the fact that row 0120, col 0080 is a negative amount which corresponds as instructed with FINREP F01.01 row 250. Since it does not relate to positions in the trading book, row 0120, col 0090 is 0 and hence contains a bigger value.

Background

We already have needed to ask National Bank of Belgium a few times to lift his validation rule v6332 to be able to submit the C32.01 template. In our view the validation rule is not correct. We had the same remark for row 0200, which is the same row on the liabilities side and as a result row 0200 was dropped from validation rule v6332. So to be consistent also row 0120 should be dropped from v6332.
No answer published yet.

Original source: European Banking Authority, Q&A ID 2024_7171

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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